Nobel Lecture: Uncertainty Outside and Inside Economic Models

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Ambiguity Aversion and Model Misspecification: An Economic Perspective (2016, background): “As noted by Hansen and Sargent (2007), for the familiar and commonly used relative entropy formulation, there is a simple connection between the penalization approach to prior sensitivity and the smooth ambiguity approach.”
Approximate Models and Robust Decisions (2014, methodology): “Our methods formally introduce decision theory into posterior model checking at the criticism stage, focussing on “whether our models are wrong in having missed something essential to the questions under consideration” (Hansen, 2014).”